Financial dependence analysis: applications of vine copulas

DOI10.1111/STAN.12015MaRDI QIDQ6552773zbMATH OpenFDO

Authors D. E. Allen, Mohammad A. Ashraf, Michael McAleer, Robert J. Powell, A. K. Singh

Publication date 10 June 2024

Published in Statistica Neerlandica (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/STAN.12015

zbMATH Keywords

tree structuresco-dependence modellingregular vine copulas

Mathematics Subject Classification ID

Characterization and structure theory for multivariate probability distributions; copulas (62H05) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70)

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Cites work

• scientific article; zbMATH DE number 3163305 (Why is no real title available?)
• scientific article; zbMATH DE number 1134711 (Why is no real title available?)
• A parameterization of positive definite matrices in terms of partial correlation vines
• An introduction to copulas.
• Copula–Based Models for Financial Time Series
• Likelihood Ratio Tests for Model Selection and Non-Nested Hypotheses
• Pair-copula constructions of multiple dependence
• Probability density decomposition for conditionally dependent random variables modeled by vines
• Risk management with high-dimensional vine copulas: an analysis of the Euro Stoxx 50
• Truncated regular vines in high dimensions with application to financial data
• Uncertainty Analysis with High Dimensional Dependence Modelling
• Vines -- a new graphical model for dependent random variables.

Cited in

(1)

• Fatigue correlation reliability evaluation of heavy-haul railway bridges

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